The Spring 2014 Practitioners’ Seminar is now closed. A big Thank You to all the speakers. We will return in the Spring of 2015.

Organizer: Lars Tyge Nielsen

Schedule of Presentations

Thursday, January 23, 2014

Title: Derivatives, Diffusion, and Duality

Speaker: Peter Carr, Morgan Stanley
Dr. Peter Carr is a Managing Director at Morgan Stanley with over 15 years of experience in the financial industry. He is currently the Global Head of Market Modeling, overseeing several quantitative teams spread over three continents. He also presently serves as the the Executive Director of the Math Finance program at NYU’s Courant Institute, the Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He has over 75 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAFE/Sungard in 2010. For the last 3 years, Dr. Carr was included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people in financial technology.

Abstract
When the payoff to an option can be replicated, it is often claimed that the option premium is the cost of rebalancing the delta hedge. We make such statements precise in the context of diffusions. We also use Legendre transforms to present a dual to these results.

Tuesday, January 28, 2014

Title: Shifting Correlations – A New Frontier of Risk Management

Speaker: Yaakov Kopeliovich, Rixtrema
Dr. Yaacov Kopliovich is Director of Research at Rixtrema. Dr. Kopeliovich has spent his career in the investment management industry with extensive experience in understanding the tail risks inherent in complex multi-asset portfolios. Yaacov has held positions at Bank of America analyzing complex asset backed securities and was most recently employed at MEAG New York Corporation as a Senior Quantitative Analyst in the fixed income and structured products areas. Dr. Kopeliovich received his Masters in Financial Engineering from the Hass School of Business at the University of California, Berkley, his B.S., M.S. and PhD. in Mathematics from Hebrew University, Jerusalem.

Summary
Many people are aware of correlations moving to 1 at a crisis mode. Yet risk practitioners have difficulty to present a simple solution how to incorporate into risk systems. I will present one such solution that was realized in Rixtrema.

Thursday, January 30, 2014

Title: Dynamic Risk Allocation and Risk Measures

Speaker: Mikhail Smirnov, Columbia University

Abstract
The talk describes dynamic risk allocation schemes applicable to hedge funds with lockups and illiquidity provisions and their effect on structural properties of funds.

Tuesday, February 4, 2014

Title: Investment Analytics in an Insurance Company

Speakers: Steven Umlauf, David Li, and David Liu, AIG

Steven Umlauf
Senior Managing Director, Head of Analytics

Steven Umlauf is a Senior Managing Director and the Head of Analytics for AIG Asset Management. His responsibilities include risk and portfolio analytics, performance measurement, asset liability management and modeling. Steven has 20 years of experience in the financial services industries in product development, risk management and derivatives in asset classes including public and private equities, real estate, fixed income, and foreign exchange. His experience is global and includes roles in London, Tokyo and New York. He joined us from Morgan Stanley where he spent 14 years and recently served as Chief Risk Officer of Merchant Banking. He also previously worked at Citigroup and Merrill Lynch. Prior to joining the financial services industry Steven was an assistant professor of finance at London Business School. He has published academic articles in the Journal of Finance and the Journal of Financial Economics.

Steven earned a PhD in applied economics at MIT and a BA in economics from Duke. He is a member of Phi Beta Kappa.

David Li
Managing Director, Head of Modeling

David Li is currently responsible for the Analytics Modeling Group. Previously David worked at CICC as CRO responsible for all risk functions and quantitative analytics development. Previously David headed the global credit derivative analytics for Citigroup and Barclays Capital. He introduced copula function approach to credit derivative modeling which has become an industry benchmark method in credit portfolio modeling. He also worked as a vice president for AXA Financial with responsibility for asset and liability risk measurement.

David has a PhD in statistics and master’s degrees in economics, finance and actuarial science. He is also an Associate of the Society of Actuaries and currently serves as an Associate Editor for North American Actuarial Journal.

David Liu
Managing Director

David Liu started his career at JPMorgan in 1995 after obtaining Ph.D from Caltech in applied physics. He had spent 12 years in the quantitative research group at JPMorgan, focusing primarily on developing interest rate and credit derivatives pricing models and risk management systems. He was the head of the interest rate quantitative research in New York, and also ran the credit quantitative research team at JPMorgan. He Joined Lehman Brothers in 2007 and later Barclays Capital as managing director and head of fixed income quantitative research. Over the years, he has worked in New York, London, and Tokyo offices across broad global fixed income businesses, including interest rates, credit, hybrids, muni, inflation, emerging market, securitized products, alternative investments, insurance and pension derivatives. He joined AIG Investments Analytics in 2012 and focuses on interest rate modeling and analytics development.

Speaker: Ashwin Alankar, Co-CIO Tail Risk Parity, Senior Portfolio Manager AllianceBernstein – Quantitative Investment Strategies
Ashwin Alankar is Co-CIO of Tail Risk Parity, focusing on the firm’s systematic multi-asset class and edge fund efforts. Prior to joining AllianceBernstein in 2010, he spent seven years at Platinum Grove Asset Management, a hedge fund in NY, where he was a partner and portfolio manager responsible for equity trading and research. He received a PhD in finance, specializing in econometrics, from the University of California at Berkeley in 2003, where he was the NASDAQ Fellow of Finance. Alankar received a BS in mathematics and chemical engineering in 1996 and an MS in chemical engineering in 1998 from the Massachusetts Institute of Technology.

Summary
Traditional academic literature has relied on so-called “limits to arbitrage” theories to explain why investment managers are unable to eliminate the effects of investor “irrational” preferences (either the asset-pricing anomalies or the behavioral finance literature) on asset pricing. We demonstrate, however, that investment managers may not eliminate the observed asset-pricing anomalies because they may contribute to their existence. We show that if managers face constraints such as a “tracking-error constraint,” coupled with the need to hold liquidity to meet redemptions or to actively-manage investments, they optimally hold higher-volatility securities in their portfolios. Investment constraints, such as tracking-error constraints, however, reduce the principal-agent problems inherent in delegated asset management and serve as effective risk-control tools. Liquidity reserves allow managers to meet redemptions or redeploy risks efficiently. We prove that investment managers will combine a portfolio of active risks (a so-called “alpha portfolio”) for a given level of liquidity with a hedging portfolio designed to control tracking error. As the demand for either liquidity or active management increases presumably because of confidence in alpha, the cost of maintaining the tracking-error constraint increases in that the investment managers must finance these demands by selling more lower-volatility securities and holding more higher volatility securities. With more demand for the “alpha” portfolio, managers are forced to buy more of the tracking-error control portfolio. Investment managers and their investors are willing to hold inefficient portfolios and to give up returns, if necessary, to control the tracking-error of their portfolios. Given the liquidity and tracking-error constraints, investment managers concentrate more of their holdings in higher volatility (higher beta) securities. Empirically, we show that active investment managers, such as mutual funds, hold portfolios that concentrate in higher volatility securities. Moreover, when they change their holdings of their “alpha” portfolios (reduce or increase their tracking error by choice), the relative prices of higher volatility stocks change according to the predictions of the model. That is, if investment managers move closer to a market portfolio, the prices of lower-volatility stocks rise more than the prices of higher-volatility stocks given changes in the prices of other market factors.

Tuesday, February 11, 2014

Title: Forced Liquidations, Fire Sales, and the Cost of Illiquidity

Speaker: Richard Lindsey, Janus Capital Group
Richard Lindsey serves as Chief Investment Strategist, Liquid Alternatives, at Janus Capital Group. He also co-manages the liquid alternative strategies and is a member of the Janus Capital Group Global Allocation Committee. Prior to joining Janus in August 2012, Dr. Lindsey was president and CEO of the Callcott Group, LLC, a quantitative consulting group, where he was the principal responsible for directing research activities and advisory services. For eight years Dr. Lindsey was president of Bear, Stearns Securities Corporation and a member of the Management Committee of The Bear Stearns Companies, Inc. Before joining Bear Stearns, Dr. Lindsey served as the Director of Market Regulation for the U.S. Securities and Exchange Commission and as the Chief Economist of the SEC. He was a finance professor at the Yale School of Management before joining the SEC. Dr. Lindsey has also served on several corporate and not-for-profit boards. Dr. Lindsey has done extensive work in the areas of market micro-structure and the pricing of derivative securities. He has held the positions of Visiting Academic at the Nikko Research Institute in Tokyo, Japan, and Visiting Economist at the New York Stock Exchange. He holds a bachelor of science degree in chemical engineering from Illinois Institute of Technology, an MS in chemical engineering from Berkeley, an MBA from the University of Dallas, and a Ph.D. in finance from the University of California, Berkeley. He is a Fellow of the Courant Institute, the Chairman of the International Association for Quantitative Finance as well as the Executive Vice President of the Quantitative Group for Finance.

Abstract
Seeking diversification, institutional investors are often drawn to investment opportunities which are relatively illiquid, taking for granted that they receive a “liquidity premium” that compensates them for the lack of liquidity. Forced liquidations typically occur when illiquid portfolios become overvalued relative to their true market value and the reported valuation is no longer credible. When a forced liquidation or fire sale occurs, the significant associated costs are obvious and easy to take into account. But there is a rarely-recognized cost that should be applied to the expected return of illiquid investments even before such an event. This paper presents a simple framework for evaluating the cost of such illiquidity.

Tuesday February 18 through Thursday March 6.

Lecture Series by Amal Moussa, J.P. Morgan

Amal Moussa is an Equity Exotic Derivatives trader at JP Morgan. Prior to that she was a quantitative associate in the Global Emerging Markets group at JP Morgan. She holds a Ph.D. in Statistics from Columbia University (New York, 2011), a Masters in Probability and Finance from the Paris 6 University (Paris, 2006) and an Engineering degree in Computer Science from the Ecole Nationale Superieure des Telecommunications (Paris, 2006).

Pricing and Risk Management in the Aftermath of the 2008 Crisis

Motivation

The 2008 crisis has led to important changes in the financial industry both in the types of the products traded and in the methodologies used to valuate and risk-manage them. The aim of this lecture series is to present some of the new techniques developed to address this evolution.

Implied Volatility has emerged as a new asset class on its own with an increasing liquidity in VIX futures, options and ETNs. It has been then necessary to model consistently Equity indices and their own implied volatilities, which traditional local and stochastic volatility models fail to achieve.

As funding started to dry up for banks, properly accounting for the cost of funding their over-the-counter trades started to become a major issue. These trades are typically funded from the collateral posted against them. Any two counterparties define in a credit support agreement (CSA) the terms of the collateral exchange between them, which results in a specific cost of funding for their trades. Banks had to find out how to properly transition from discounting all trades at vanilla swap rates to a new era where each trade is discounted at the proper curve depending on the specific counterparty, a new area of financial modeling known as “differential discounting”.

The crisis has also shed light on the importance of contagion and systemic risk, and revealed the lack of adequate indicators for measuring and monitoring them. The traditional regulatory framework for determining systemically important institutions has been to rank them in terms of the size of their balance sheet. Institutions with the largest balance sheet size are declared “too big to fail”. Instead, there is a need to implement a metric of systemic importance that combines the effects of both common market shocks and contagion through counterparty exposures.

Title: On the Sensitivity of Calibrated American Put Values to Interest Rate Volatility

Speaker: Alexey Polishchuk, Bloomberg
Alexey Polishchuk is a senior member of the Quant Research team at Bloomberg L.P. Prior to joining Bloomberg Mr. Polishchuk worked at Goldman Sachs & Co. in the Equity Volatility Strategies Group in New York developing pricing and risk management tools for the Index flow desk. Mr. Polishchuk holds a Ph.D. in Theoretical Physics from the Moscow branch of the Steklov Mathematical Institute and a Master’s Degree in Financial Mathematics from Columbia University. His current research focuses on modeling Equity and Fixed Income derivatives.

Summary
In this talk we demonstrate that for a wide class of Equity-Interest rate hybrid models the price of the American put decreases when the interest rate volatility is increased. The class of models considered includes models where the volatility of the equity component is local in the spot and the spot-rate correlation is non-negative. In each case the model is required to calibrate exactly to vanilla options and zero coupon bonds. As a corollary we deduce that the maximum price of the American put within the set of specified models is achieved when the interest rate volatility is zero and the underlying model reduces to the local volatility model of Dupire. The result holds true for Bermudan options.

Thursday, March 27, 2014

Title: Systematic Inventory Management: Where Execution Meets Risk

Speaker: Daniel Nehren, J.P. Morgan
Daniel Nehren is the Global Head of Linear Quantitative Research at J.P. Morgan. LQR is a global quantitative group that focuses on both electronic trading and portfolio and risk analytics for the Equities Division. Prior to joining J.P. Morgan, he was the co-head of the Quantitative Products One group at Deutsche Bank and helped run the QP Lab, a research joint venture with 2 major Berlin Universities: Humbolt University and Technische Universität Berlin. Daniel spent the previous 5 years in Delta 1 Equity Strategies at Goldman Sachs focused on High Frequency Trading. He holds the title of Doctor in Electronic Engineering from the Politecnico University in Milan, Italy.

Summary
Market forces in equities trading are driving the need for automation and flow internalization. Managing a large stock inventory in a systematic fashion will soon become a cornerstone of any equity trading business. In this talk we discuss the business drivers and the quantitative components that underlie Systematic Inventory Management and the challenges faced by the brave quant venturing into this complex subject, where systematic trading meets real-time risk management.

Tuesday, April 1, 2014

Title: From the Black Scholes Formula to Dispersion Trading.

Speaker: Jonathan Assouline, Société Générale
VP at Societe Generale since 2006. In charge of Dispersion, Corporate trading and Light exotic trading on Single stocks. Graduated from Columbia University and Ecole des Ponts et Chaussees in 2006.

Summary

Thursday, April 3, 2014

Title: The Time Horizon of Price Responses to Quantitative Easing

Speaker: Harry Mamaysky, Citi
Harry Mamaysky is a managing director at Citigroup, where he heads the Systemic Risk Group. Previously, he was senior portfolio manager in Citi Principal Strategies. Before joining Citigroup in 2008, Mamaysky held positions with Old Lane, Morgan Stanley, and Citicorp. He was also an assistant professor of finance at the Yale School of Management from 2000–02. Mamaysky earned his PhD in finance from Massachusetts Institute of Technology. He also holds a BA in economics, as well as BS and MS degrees in computer science, from Brown University.

Summary
Studies of how central bank quantitative easing (QE) policies affect asset prices typically look for effects either on the day, or within one or two days, of the QE announcement. Implicit in this methodology is the assumption that QE impacts different asset classes over an identical – and short – time horizon. To the contrary, we present strong evidence that QE announcements by the Federal Reserve, the European Central Bank, and the Bank of England impact the prices of different asset classes at different and often longer horizons. By restricting attention to a very short time window around QE announcements, the literature likely understates the effects of QE on asset classes that are less bond-like, which in turn leads to inappropriate conclusions about the effects of QE in securities markets. We show that while QE affects fixed income and currency markets over a short time horizon, it also has large effects on equity, volatility and credit markets when measured over a longer time period.

Tuesday, April 8, 2014

Title: Impact of regulatory reform on derivatives trading

Speaker: Bleron Baraliu, Founder and CEO of Frost & Fire

Frost & Fire was founded in 2011 to provide real-time risk management and cutting edge front office solutions in FI, Credit, FX, and Futures. It has a holistic platform for managing trading, risk, and portfolio optimization in real-time, including all aspects of the regulatory financial reform.

Bleron began his career in derivatives trading nearly 15 years ago; first for a brief period in the CBOE S&P Options pit with CTC, then with Salomon/Citigroup and Barclays, where he traded Swaptions, Listed IR Options, and Mortgage Options, before moving into FX Options and Exotics. Later Bleron joined ZAIS Group as a Senior PM co-managing a $1.3B Opportunity fund, earning a respectable track record from 2006-2008. In 2007 he was awarded the “Top 30 Traders Under 30 in the World” by Trader’s Monthly.

After that, in 2009 Bleron moved to State Street Corporation in Boston, where he ran FI & FX Options globally, and ran the project for implementing the Fixed Income Division. More recently he moved to New York as Global Head of Strategy for the E-exchange division and in charge of implementing the Clearing platform for State Street, including the build out of the entire risk management platform for OTC products and Futures. Bleron holds a BA with Honors in Math and a Masters in Math Finance from Columbia University.

Summary
The paradigm shift resulting from financial reform is profound, challenging, and a threat across the spectrum, in particular for OTC products!

Risk management and reporting – will have to be dynamic, comprehensive, consistent, transparent, and intraday, even for derivatives and complex products

Trading and investing is a lot costlier, from funding and capital requirements to increased spread, from regulatory constraints to technology needs – all making it impossible to do business the usual way.

The new requirements in risk, capital, compliance, and reporting and transparency are not just ground setting, they are daunting and earth-shattering, threatening to throw the entire reform into disarray and bring about a new type of systematic risk: complete illiquidity in market products vital to today’s vibrant, free-market global economy

Regulations have been unclear, delayed, inconsistent, and often impossible to implement – causing confusion, and often sabotage by established players prolonging business as usual; abandonment by the rest who can only afford to postpone their challenges

Faced with insurmountable added costs and large bid-ask spreads, many participants will have to cease trading OTC products all together, negating the effects of centralization

Thursday, April 10, 2014

Title: Three-dimensional Brownian motion and its applications to CVA and trading

Speaker: Alexander Lipton, Bank of America
Alex Lipton is Managing Director, Quantitative Solutions Executive at Bank of America and a Visiting Professor of Quantitative Finance at University of Oxford. Prior to his current role, he was Managing Director, Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and a Visiting Professor of Mathematics at Imperial College London. Previously, he was Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago; he has also worked at Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois at Chicago and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from Lomonosov Moscow State University. His current interests include industrial strength derivative pricing including capital calculations and valuation adjustments, as well as technical trading strategies. In 2000 Alex was awarded the first Quant of the Year Award by Risk Magazine. Alex is the author of two books (Magnetohydrodynamics and Spectral Theory and Mathematical Methods for Foreign Exchange) and the editor of four more, including, most recently, The Oxford Handbook of Credit Derivatives (jointly with Andrew Rennie). He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. Alex is a founding patron of The 14-10 Club at the Royal Institution (jointly with David Harding).

Summary

Tuesday, April 15, 2014

Title: Systemic failure and the global financial crisis of 2008

Speaker: Ayman Hindy, Capula Investment Management
Ayman Hindy is a partner of Capula Investment Management LLP and senior portfolio manager focused on macro and interest rate trading in global markets with an emphasis on the U.S. Ayman joined Capula Investment US LP in January 2010. From 1999 to 2009, Ayman was a partner and portfolio manager at Platinum Grove Asset Management where he traded macro, emerging markets and interest rate products, including agency mortgage versus interest rates. From 1994 to 1999, he was a senior strategist responsible for fixed income trading and research at Long Term Capital Management. Ayman was an associate professor in finance at Stanford Graduate School of Business from 1990 to 1994.

Title: The Importance of Quants to Effective Risk Control: Lessons from the Last Decade as Illustrated by Two Case Studies.

Speaker: Thomas Daula
Tom Daula retired from UBS in July 2013 after working nearly two decades in the investment banking industry. At UBS, Tom served as the Investment Bank’s Chief Risk Officer, its Chief Operating Officer, and most recently as the Head of Securities Research and Quantitative Analytics. Prior to joining UBS in 2008, Tom worked at Morgan Stanley where served in a variety of risk management positions including as the Firm’s Chief Risk Officer from 2005 to 2007 and member of the Firm’s Management Committee. Tom began his career at Bankers Trust where he developed the Firm’s statistical risk models and served as the Head of Market Risk for the Americas.

Prior to joining Bankers Trust in 1994, Tom was an Army Officer and Professor of Economics at the United States Military Academy (USMA). He holds a B.S. from USMA and a PhD in Economics from MIT.

Synopsis
The financial crisis and its aftermath illustrated the importance of understanding the valuation and risks of complex financial instruments to effective risk management at the trading desk and firm level. The difficulties experienced in managing the risk from ABS CDO’s and chooser PRDC’s provide two highly illustrative examples of the potential consequences of naive financial modeling in the case of the former and the limits to effective modeling in the case of the latter.

Tuesday, April 22, 2014

Title: Quantitative Methods in Private Banking

Speaker: Gasan Abdulaev, Citi Private Bank
Gasan Abdulaev graduated the Novosibirsk University in Russia and earned his PhD in numerical mathematics at the Russian Academy of Sciences. He then worked as a research scientist in various research institution in Russia, France, and Italy, specializing in the field of numerical methods for partial differential equations and inverse problems with applications in computational fluid dynamics and medical imaging. In 2001-2005, he was a research scientist at the Columbia University’s Dept of Bio-medical Engineering. Dr. Abdulaev started his financial career in 2005 as a quantitative analyst in a hedge fund and in 2010 joined Citi’s Model Validation Group. He is now a quantitative analyst in the Global Investment Lab of Citi Private Bank.

Summary
Private wealth management draws significant attention of academicians and practitioners in the field of asset management. Even though quantitative tools and methods used in private wealth management are not exclusive, there are problems that are very specific and require additional considerations compared to institutional asset management. This presentation will give a wide overview of quantitative problems that a practitioner working in a private bank or a private wealth advisory may encounter. These problems include risk evaluation using multi-factor analysis, portfolio construction and optimization, Monte Carlo simulation and others.

Before that, Marcos was Head of Quantitative Trading & Research at Hess Energy Trading Company (the trading arm of Hess Corporation, a Fortune 100 company) and Head of Global Quantitative Research at Tudor Investment Corporation. In addition to his 15+ years of trading and investment management experience at some of the largest corporations, he has received several academic appointments, including Postdoctoral Research Fellow of RCC at Harvard University and Visiting Scholar at Cornell University. Marcos earned a Ph.D. in Financial Economics (2003), a second Ph.D. in Mathematical Finance (2011) from Complutense University, is a recipient of the National Award for Excellence in Academic Performance by the Government of Spain (National Valedictorian, 1998) among other awards, and was admitted into American Mensa with a perfect test score.

Marcos is the co-inventor of three international patent applications on High Frequency Trading. He has collaborated with ~30 leading academics, resulting in some of the most read papers in Finance (SSRN), three textbooks, publications in the top Mathematical Finance journals, etc. Marcos has an Erdös #3 and an Einstein #4 according to the American Mathematical Society.

Abstract
Execution traders know that market impact greatly depends on whether their orders lean with or against the market. We introduce the OEH model, which incorporates this fact when determining the optimal trading horizon for an order, an input required by many sophisticated execution strategies. From a theoretical perspective, OEH explains why market participants may rationally “dump” their orders in an increasingly illiquid market. OEH is shown to perform better than participation rate schemes and VWAP strategies. We argue that trade side and order imbalance are key variables needed for modeling market impact functions, and their dismissal may be the reason behind the apparent disagreement in the literature regarding the functional form of the market impact function. Our backtests suggest that OEH contributes substantial “execution alpha” for a wide variety of futures contracts. An implementation of OEH is provided in Python language.

Tuesday, April 29, 2014

Title: Rates market dynamics, global macro framework and new tools to take advantage of the data revolution

Speaker: Hicham Hajhamou, AQR
Hicham Hajhamou head of fixed income trading at AQR. Before that, he was an executive director at Pierpont Securities. Prior to joining Pierpont he spent several years at Lehman Brothers, Countrywide and BNP Paribas where he traded global rates and helped develop new relative value tools and quantitative filters. He holds two MA. degrees in Mathematics of finance from Columbia University in the city of New York and University of Paris, Dauphine.

Abstract
Government bonds are the benchmark for global yield curves. We will try to understand all the different dynamics affecting the treasury market. We will also discuss other rates markets, ie, Swaps, MBS, agencies debentures and Futures markets and how they interact with each other and what information is useful to global investing and relative value investing. Finally we will try to go thru what global macro traders look at and how various asset classes are correlated and what tools could be built to track multiple relationships. What can students in quantitative fields bring to modern trading strategies, understanding the data revolution, new high frequency strategies, new players and how it is affecting trading conditions. I will keep some time for questions about the work place, and if you intend to become a trader how the first rule is to trust yourself and build trading strategies that fit your personality.

Thursday, May 1, 2014

Title: Statistical Properties of S&P 500 Index Futures

Speaker: Alexei Chekhlov, Systematic Alpha Management, LLC, and Columbia University
Alexei Chekhlov has been an Adjunct Assistant Professor at the MAFN for 5 years and has been a Head of Research of Systematic Alpha Management, LLC, a short-term systematic CTA, for 14 years. Alexei has an MA (1993) and Ph.D. (1995) from Princeton University in Applied and Computational Mathematics, and BA and MS (1990) in Physics from Moscow Institute of Physics and Technology. Alexei has published results in theoretical physics, applied mathematics and quantitative finance.

Summary
Starting just with the price data file of the S&P 500 E-mini futures at 1-minute resolution and statistical principles, we empirically produce, test for and justify such non-trivial statistical properties of price changes as: short-term mean reversion, intra-day seasonality of local volatility, long memory of local volatility of various orders, influence of short-term mean-reversion on reduction of diffusion (variance), we identify and parameterize symmetric Levy probability density functions.